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Bonds and Bond Derivatives

ISBN-10: 1405119128
ISBN-13: 9781405119122
Edition: 2nd 2005 (Revised)
Authors: Miles Livingston
List price: $65.00 Buy it from $3.00
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Description: This book provides an introduction to bond markets and bond derivatives for students as well as for executives in commercial businesses and financial institutions. It also: Presents the essential elements of debt instruments in an intuitive  More...

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Book details

List price: $65.00
Edition: 2nd
Copyright year: 2005
Publisher: John Wiley & Sons, Incorporated
Publication date: 2/11/2005
Binding: Paperback
Pages: 324
Size: 6.00" wide x 9.00" long x 1.00" tall
Weight: 1.254
Language: English

This book provides an introduction to bond markets and bond derivatives for students as well as for executives in commercial businesses and financial institutions. It also: Presents the essential elements of debt instruments in an intuitive manner; Covers updated institutional material, new sections on callable bonds and the yield to call, convertible bonds, and methods for estimating and modern models of term structure of interest rates, as well as a comprehensive discussion of bonds in the European Economic Union; Includes additional end-of-chapter questions, PowerPoint slides, and an Instructor's text bank through the author's website: http://bear.cba.ufl.edu/livingston

Determinants of Interest Rates
Federal Reserve
Foreign Central Banks
Loanable Funds Approach
Inflation and Interest Rates
Summary
Questions and Problems
Issuers
The US Treasury
Index-Linked Bonds
Municipalities
Corporations
Government Agencies
Mortgages
Summary
Questions and Problems
Financial Intermediaries
Initial Sale of Securities (Primary Market)
Dealers and Brokers (Secondary Market)
Mutual Funds
Insurance Companies
Pension Funds
Commerical Banks and Thrifts
Comparing Types of Debt Financing
Summary
Questions and Problems
Time Values (Flat Term Structure)
A Time Line
Future Value
Present Value
Price of a Bond
Bond Yield to Maturity
Other Yield Measures
Perpetual Bonds
Holding Period Returns
Semiannual Interest
Accrued Interest
Newspaper Quotes
Summary
Questions and Problems
Money Market Instruments and Rates
Money Market Instruments
Money Market Rates
Summary
Questions and Problems
The Risk of Changing Interest Rates
Duration
Immunization at a Horizon Date
Immunizing Assets and Liabilities
Summary
Questions and Problems
Appendix
Time Value with Nonflat Term Structure
Spot Interest Rates
Present Value or Spot Prices
Treasury Strips
Forward Interest Rates
Shape of the Term Structure
Annuities
Prices of Coupon-Bearing Bonds
Yield to Maturity and Spot Rates
Summary
Questions and Problems
Arbitrage
Shortselling
Conditions for Arbitrage
Arbitrage and Present Values
Arbitrage and Bond Coupons
An Example of a Replicating Portfolio
Creating Forward Contracts from Spot Securities
Arbitrage and Forward Interest Rates
Summary
Questions and Problems
Term Structure of Interest Rates
Historical Patterns in Yield Curves
Segmented Markets Theory
Increasing Liquidity Premiums
Preferred Habitat
Money Substitute
Expectations Hypothesis
Combined Theory
Humpbacked Curves
Holding Period Returns
Summary
Questions and Problems
Default Risk
Default on Municipal Bonds
Default on Mortgages
Corporate Bonds
Bonds Ratings
High-Yield (Junk) Bonds
Summary
Questions and Problems
Put and Call Options
Call Options
Put Options
Put-Call Parity
Determinants of the Value of a Call Option
Embedded Options
Summary
Questions and Problems
Mortgages
Mortgage Mathematics
Variable-Rate Mathematics
Assumable Mortgages
The Prepayment Option
Marketable Mortgages
Default and Mortgage Guarantees
Derivative Mortgage Products
Summary
Questions and Problems
Futures Contracts
Open Interest
Marking and Marketing-to-Market
Forward versus Futures Contracts
Determinants of Futures Prices
Speculative Futures Positions
Hedging with Futures Contracts
Summary
Questions and Problems
Bond Futures
Treasury Bond Futures
Hedging with Financial Futures
Cheapest Delivery Bond
Other Aspects of the Delivery Process
Summary
Questions and Problems
Other Derivatives
Floating-Rate Notes
Interest Rate Swaps
Convertible Bonds
LYONs
Preferred Stock
Summary
Questions and Problems
Exchange Rates and Investment Returns
International Investment
Exchange Rates
Impact of Changing Exchange Rates on Imports and Exports
Exchange Rates and Investment Returns
Inflation, Interest Rates, and Exchange Rates
Covered Interest in Arbitrage
Time Series Properties of Interest Rates
International Bond Markets
Summary
Questions and Problems

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